Based on Matthew 2:1-12

Enter from three different directions three wise men, looking for Jesus.  They ask members of the audience the following sort of questions and comments, all impromptu and unconnected:

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"Have you seen the royal baby?"

"We are looking for the new King."

"Someone must have seen him."

"We've travelled for weeks to come and see him."

"Has anyone seen the royal baby?"

"We followed the star."

etc etc

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When they meet up, they say to each other things like this:

"No joy at all."

"Noone's even heard of him."

"He must be somewhere."

"Keep on looking - we can't give up now."

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Continue asking crowd.  Eventually get back together.

"I was told to keep my mouth shut - the king wouldn't like it."

"Someone suggested we try the palace."

"Of course - why didn't we think of that?"

"Obvious really - they must know where he is."

Exeunt together